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In February global equity markets posted declines as geopolitical tensions increased sharply because of the Russian military invasion of Ukraine and global inflationary pressures continuing to mount. Equity market declines were led by Large-cap & Technology, while developed market regional declines were led by Germany & France. Russian equity markets lost one-third of their value before the Russian stock exchange was closed. Interest rates fell into month-end on flight-to-quality and global financial sanctions imposed on Russia, although rates ended the month slightly higher as a result of increases early in the month. The US Dollar was little changed for the month, but the Russian Ruble plunged by one-third in value due to imposed sanctions. Commodities surged led by Oil, Aluminum, and Silver; Agricultural Commodity gains were led by Lumber & Wheat. Hedge Funds Indices posted mixed performance in February led by Equity Hedge strategieswith the HFRX Equity Hedge Index gaining +0.34% for the month and the HFRX Global Hedge Fund Index declining -0.36%.
HFRX Equity Hedge Index gained +0.34% for February from gains in Fundamental Value managers partially offset by declines in Fundamental Growth and Market Neutral strategies. The HFRX Fundamental Value Index gained +0.99% for the month led by gains from exposure to large-cap US & European equities and Technology. The HFRX Market Neutral Index declined -0.05% in February from mixed performance in mean reverting, factor-based strategies and fundamental managers. The HFRX Fundamental Growth Index declined -0.79% for the month from declines concentrated in small-cap US, European, and Emerging Market equities.
HFRX Event-Driven Index posted a decline of -0.20% for the month, with declines in special situations equity strategies. The HFRX Merger Arbitrage Index gained +1.36% in February as activity in global M&A deals continued. The HFRX Special Situations Index declined -0.29% from declines in exposure to catalyst-driven, fundamental value equities.
HFRX Macro/CTA Index posted a decline of -0.42% for February led by declines in Macro Discretionary strategies from exposure to opportunistic Fixed-Income and global multi-asset strategies. The HFRX Macro Systematic/CTA Index posted a gain of +1.54% for the month as the US Dollar remained little changed for the month, the Russian Ruble plunged more than one-third in value, and commodities surged. Oil, Aluminum, and Silver led commodity gains; Agricultural commodity gains were led by Lumber and Wheat.
HFRX Relative Value Arbitrage Index declined -1.32% for the month from declines in Multi-Strategy and Convertible Arbitrage strategies. The HFRX Multi-Strategy Index declined -1.27% as interest rates ended slightly higher by month-end. The HFRX Convertible Arbitrage Index posted a decline of -1.81% as volatility increased during the month.
Comments reference performance figures as of February 28, 2022